I'm confused about the LNN/Bucy pair. According to Pairtrade Finder, the signal was given on May 1st- Closing Prices 39.37 and 23.36. You seem to have put on the trade much later at very favorable prices. Could you explain the difference and what strategy you employed to wait for a better entry price?
Isn't it just about how you set the parameters? If your system triggered on may 1st you may want to have a look at that! I dont trade LNN because it has not enough volume but this pair would never have triggered in my screener (my own code, not PTF).
This is an excellent thread and I have enjoyed reading it from start to finish. J-sharp deserves serious credit for following through all this time. Two questions if I may: Does anyone make beta adjustments on either a total portfolio or individual trade basis? If so would you mind sharing thoughts / methods used? This could be a way to smooth performance and thus make the pair relationships the true crux of the account. Not to mention that placing / lifting the hedge could offer an extra chance to buy low/sell high. I'm assuming that SPY would be the vehicle of choice more often than not. I thank all in advance who have insight on this issue, and would especially like to hear from Don Bright or any of his traders. This seems like something they may do or at least have considered.
I think it makes sense to make beta adjustment on each pair trade, not on portfolio level. On each pairtrade you have 2 choices, or you exclude stocks with large beta difference or you position size your trade, according to each stock beta, otherwise you are losing market-neutrality. I am following the first approach for now.
11 days left in my trial. 13 closed trades 8 of which are winners Profit £347 at £1/pt spread betting 4 open trades showing £2.40 profit.
In the last 24 hours both MFC and PRU issued earnings. MFC dropped 3% and PRU jumped 20%. Apparently you were not impressed and faded the market. Gutsy play. I hope you are right since I also shorted PRU. Don